The bear market rally was led by short covering, 0DTE options, central bank and TGA liquidity, as well as retail, CTAs, and managed money​. ​There isn't much fuel left for further upside based on our analysis​. ​
Downside risks have grown significantly with weakening fundamentals, leading econometrics, 0DTE mania, Fed and ECB tightening, as well as current stretched positioning​. ​As a result, we believe the bear market rally lives on borrowed time.
00:00 Intro
01:17 Most-shorted stocks outrun the market
03:47 Short covering has been a leading driver of gains in tech
08:14 Global equities have also seen intense short covering
12:06 Retail market participation showing an extreme
17:11 Net inflows by retail this year exceed that of 2020 or 2021
23:44 Retail market participation is elevated to over 20% of all market volume
28:38 What are they buying?
36:18 CTAs are very long this market
38:21 CTAs have a lot of exposure to sell
39:24 Managed money is aggressively long again
40:20 The last three times we saw managed money this long it ended poorly
46:23 50% of SPX options traded are 0DTE now
47:58 And it's not just in SPX, but SPY, too
52:06 Call volume has exceeded the last options-driven manias
58:35 Options account for 70% of notional trading daily now
1:00:43 Real rates are rising, which may pressure equities
1:00:53 Stock valuations and real rates are diverging
1:05:27 Deterioration in fundamentals is another risk that's building
1:08:55 LEIs suggesting we're headed towards recession
1:17:40 Sentiment is far from bearish extremes
1:18:50 Deleveraging remains the name of the game
1:21:09 PBoC and BoJ helped to spark this rally
1:27:35 Fed terminal rate priced at 5.5% currently
1:37:32 Fed tightening often breaks something
1:41:05 A Fed pivot may not be the turning point...
1:43:50 Assets of major central banks vs S&P 500
1:51:41 In conclusion (recap)
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